Intelligence Feed event · Credit · 2026-09-20

    Annaly Capital falls 8.5% over past month as mortgage REIT spreads face rate headwinds

    Question

    Annaly Capital falls 8.5% over past month as mortgage REIT spreads face rate headwinds

    Direct answer

    Annaly Capital Management dropped 1.22% to $21.05, bringing its rolling one-month decline to 8.5% and significantly lagging the broader S&P 500 index. The underperformance reflects persistent pressures on agency mortgage-backed securities as long-term sovereign rates test multi-decade peaks. While consensus analyst forecasts project NLY earnings growth of 6.85%, elevated interest rate volatility and agency MBS spread widening continue to threaten net asset value stability and leverage costs across residential mortgage portfolios.

    Original publisher
    Market Ontology
    Evidence through
    2026-09-20
    Published
    2026-10-20
    Revision
    1 · 2026-10-20

    Cite as: Market Ontology, “Annaly Capital falls 8.5% over past month as mortgage REIT spreads face rate headwinds”, revision 1, evidence through 2026-09-20. https://marketontology.com/market-events/2026-09-20/annaly-capital-falls-8-5-over-past-month-as-mortgage-reit-spreads-face-rate-head-92c929

    CREDIT
    Annaly Capital falls 8.5% over past month as mortgage REIT spreads face rate headwinds
    Annaly Capital Management dropped 1.22% to $21.05, bringing its rolling one-month decline to 8.5% and significantly lagging the broader S&P 500 index. The underperformance reflects persistent pressures on agency mortgage-backed securities as long-term sovereign rates test multi-decade peaks. While consensus analyst forecasts project NLY earnings growth of 6.85%, elevated interest rate volatility and agency MBS spread widening continue to threaten net asset value stability and leverage costs across residential mortgage portfolios.
    NLY
    Impact
    60
    SEP 20
    SIG
    88%
    NLY
    Annaly Capital falls 8.5% over past month as mortgage REIT spreads face rate headwinds
    Annaly Capital Management dropped 1.22% to $21.05, bringing its rolling one-month decline to 8.5% and significantly lagging the broader S&P 500 index. The underperformance reflects persistent pressures on agency mortgage-backed securities as long-term sovereign rates test multi-decade peaks. While consensus analyst forecasts project NLY earnings growth of 6.85%, elevated interest rate volatility and agency MBS spread widening continue to threaten net asset value stability and leverage costs across residential mortgage portfolios.
    → Elevated benchmark Treasury yields and mortgage-backed security basis volatility pressure book value and net interest spread margins for NLY.
    Impact
    Annaly Capital Management dropped 1.22% to $21.05, bringing its rolling one-month decline to 8.5% and significantly lagging the broader S&P 500 index. The underperformance reflects persistent pressures on agency mortgage-backed securities as long-term sovereign rates test multi-decade peaks. While consensus analyst forecasts project NLY earnings growth of 6.85%, elevated interest rate volatility and agency MBS spread widening continue to threaten net asset value stability and leverage costs across residential mortgage portfolios.
    Affected
    NLY
    Transmission
    Elevated benchmark Treasury yields and mortgage-backed security basis volatility pressure book value and net interest spread margins for NLY.

    How this development reaches the affected companies

    AssetExposure and channelDirectionEvidence
    NLYagency MBS spread widening and book value compressionDown1-5dAnnaly declined 1.22% to $21.05 and dropped 8.5% over the past month.

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    What happened next

    AssetCallBase close+1 day+5 days+20 days
    NLYDownagreed21.05 2026-09-18+1.24%-2.09%Pending

    Closing prices from stored daily bars; returns measured from the last close on or before the event date. Not a recommendation.

    No verifiable public source recorded for this card.

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